Assessing the multiscale causal effects and heterogeneity between futures prices in different segments of China’s steel industry chain

This study employs multiscale decomposition and causal inference to investigate the multiscale causal effects between futures in different segments of China’s steel industry chain from September 2019 to December 2023. The decision tree model is used to analyse the heterogeneity of causal effects under external events. The results indicate that upstream iron ore and downstream rebar futures are affected by futures in other segments; simultaneously, their short-term price fluctuations greatly impact the steel industry chain. The short-term price impacts between futures show significant causal effects, including upstream futures affected by downstream rebar and hot rolled coil futures and midstream futures affected by downstream wire rod and rebar futures. However, downstream futures are affected by the short- and medium-term causal effects of upstream iron ore and midstream ferrosilicon futures. External events such as coronavirus disease 2019 and financial policy make these causal effects heterogeneous, especially the short-term causal effects of wire rod and iron ore futures, thereby impacting the price fluctuations of futures in other segments. The results help market participants enhance their intrinsic understanding of multiscale price fluctuations and make more accurate decisions under the impact of external events.